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Version date: 27 March 2020 - onwards
Version 2 of 2

DIS42 Counterparty credit risk (paras. 42.1-42.2) (effective as of 1 January 2023)

This chapter describes counterparty credit risk and credit valuation adjustment disclosure requirements.

Version effective as of 01 Jan 2023

Removes the CVA template (CCR2), which is now specified in a separate chapter (DIS51). Updated to take account of new implementation date as announced on 27 March 2020.

Introduction

42.1 DIS42 includes all exposures in the banking book and trading book that are subject to a counterparty credit risk charge, including the charges applied to exposures to central counterparties (CCPs). [The relevant sections of the Basel framework are in CRE50 to CRE55 and MAR50.]

42.2 The disclosure requirements under DIS42 are:

(1) Table CCRA - Qualitative disclosure related to CCR

(2) Template CCR1 - Analysis of CCR exposures by approach

(3) Template CCR3 - Standardised approach - CCR exposures by regulatory portfolio and risk weights

(4) Template CCR4 - IRB - CCR exposures by portfolio and probability-of-default (PD) scale

(5) Template CCR5 - Composition of collateral for CCR exposures

(6) Template CCR6 - Credit derivatives exposures

(7) Template CCR7 - RWA flow statements of CCR exposures under the internal models method (IMM)